Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

I would like to simulate an equity index, a risk free cash account and the yield curve for the purposes of valuing a guarantee on an insurance product that is being backed by both equities and cash.

What is the industry standard model for an option that depends on the payoff of many asset classes - such as equities and cash? Can this be simulated with MC simulation?

Lastly, a common approach in the actuarial literature seems to be to simulate under the real-world measure and then use a stochastic discount factor to get back to a risk neutral price. Has this been applied in any of the above methods?

Thanks!

share|improve this question

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.